AMGL[Strategy] vs INav[Benchmark]

30 Jul, 2025 - 4 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	95.0%	100.0%
Cumulative Return	42.63%	42.97%
CAGR﹪	98.53%	99.43%
Sharpe	2.46	1.7
Prob. Sharpe Ratio	85.28%	71.03%
Smart Sharpe	2.34	1.62
Sortino	3.7	2.71
Smart Sortino	3.52	2.58
Sortino/√2	2.62	1.92
Smart Sortino/√2	2.49	1.83
Omega	1.58	1.58
Max Drawdown	-12.2%	-14.76%
Longest DD Days	76	117
Volatility (ann.)	26.72%	41.94%
R^2	0.36	0.36
Information Ratio	-0.01	-0.01
Calmar	8.08	6.74
Skew	-0.88	1.22
Kurtosis	7.11	22.98
Expected Daily	0.27%	0.28%
Expected Monthly	4.54%	4.57%
Expected Yearly	19.43%	19.57%
Kelly Criterion	21.46%	26.57%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.48%	-4.04%
Expected Shortfall (cVaR)	-2.48%	-4.04%
Max Consecutive Wins	4	8
Max Consecutive Losses	3	4
Gain/Pain Ratio	0.66	0.58
Gain/Pain (1M)	7.11	7.72
Payoff Ratio	1.22	1.38
Profit Factor	1.66	1.58
Common Sense Ratio	2.47	1.94
CPC Index	1.15	1.26
Tail Ratio	1.49	1.23
Outlier Win Ratio	4.56	3.82
Outlier Loss Ratio	5.71	4.85
MTD	-5.28%	-5.48%
3M	17.48%	17.68%
6M	41.11%	42.34%
YTD	9.92%	10.17%
1Y	42.63%	42.97%
3Y (ann.)	98.53%	99.43%
5Y (ann.)	98.53%	99.43%
10Y (ann.)	98.53%	99.43%
All-time (ann.)	98.53%	99.43%
Best Day	5.23%	18.48%
Worst Day	-8.94%	-12.81%
Best Month	16.05%	16.56%
Worst Month	-5.28%	-5.48%
Best Year	29.76%	29.77%
Worst Year	9.92%	10.17%
Avg. Drawdown	-2.09%	-3.33%
Avg. Drawdown Days	8	15
Recovery Factor	3.49	2.91
Ulcer Index	0.04	0.07
Serenity Index	1.81	1.14
Avg. Up Month	8.62%	8.85%
Avg. Down Month	-2.84%	-2.95%
Win Days	56.91%	57.36%
Win Month	75.0%	62.5%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.38	-
Alpha	0.43	-
Correlation	59.97%	-
Treynor Ratio	93.26%	-